Chun Lee is a Fulbright Scholar and finance professor at Loyola Marymount University. Before joining the faculty in 2001, Lee taught at Texas Southern University, Southern Illinois University-Carbondale, and the University of Waikato (New Zealand). He was also a research analyst for KeyCorp. He is a member of the Financial Management Association, the Southern Finance Association, the Southwestern Finance Association, and the National Investor Relations Institute. He has received the Outstanding Researcher Award and the Best Paper in Investment Award at the 2006 American society of Business and Behavioral Sciences Conference.
Southern Illinois University at Carbondale: DBA, Business Administration 1993
Washington University: M.S. 1990
Carnegie-Mellon University: M.S. 1987
UCLA: M.S. 1985
Chiao Tung University: B.S. 1980
Areas of Expertise (1)
Industry Expertise (2)
Outstanding Researcher Award (professional)
Awarded the Outstanding Researcher Award by the 2006 American society of Business and Behavioral Sciences Conference.
Best Paper in Investment (professional)
Awarded the Best Paper in Investment Award at the 2006 American society of Business and Behavioral Sciences Conference.
- Financial Management Association
- Southern Finance Association
- Southwestern Finance Association
- National Investor Relations Institute
We demonstrate the existence of a positive relationship between CEO pay disparity and the yield spreads of seasoned corporate bonds, based on a panel data in the U.S. from 2001 to 2012. The evidence is robust against alternative measures of pay disparity, the inclusion of other determinants of yield spreads as well as industry and year effects, and the potential endogeneity problem.
Academic literature struggles to explain investors’ attitude towards fees and expenses charged by mutual funds. In general, investors have been found to exhibit a puzzling lack of interest in this non-trivial component of their total return, raising questions of rationality of real-world investor behavior. An emergence of exchange-traded funds (ETFs), their rapid proliferation in the past decades and distinct features, such as more simple expense structure, present a valuable opportunity to contribute to the debate surrounding the pricing of funds. To better understand the expense policy/fund flows dynamics, the authors first test a conjecture that later entrants in the ETF markets face a disadvantage in competition for fund flows.
We explore how futures traders make a tradeoff between risk and return by examining their risk-taking in the action. By applying a novel measure to their trade-by-trade transactions to capture their tendency in risk-taking, we find a general tendency to reduce risk-taking by cutting positions when facing losses or gains, and the tendency is stronger in the case of losses.
The authors provide fresh evidence on the nonfundamental-driven price dynamics and interaction between index and index futures by examining the price movements of the S&P500 index and index futures surrounding the crossing of the 00 psychological barriers and 52-week highs and lows.
Largely ignored, empirical evidence is mixed regarding the sign of the relationships between exchange rate exposure and its determinants. Employing quantile regressions, we resolve the conflicting findings for S&P 500 firms by demonstrating that the culprit is the inherent limitations of the ordinary least squares (OLS) approach used in previous studies. Instead of the conflicting partial views of the picture of the mean depicted in previous OLS results, we present a clearer fuller picture of the spectrum of the relationships. Specifically, across the range of exchange rate exposure — extremely negative to extremely positive — the sign of the relationships change systematically for foreign sales, size, and debt ratio, while it remains consistently negative for quick ratio and positive for book-to-market. Test results further show significant differences in the coefficient estimates between high and low quantiles, indicating an asymmetric effect of the determinants on the exposure.
Motivated by the argument that central bank intervention leads to non-linear exchange rate adjustment processes, we examine purchase power parity (PPP) by applying quantile unit root tests to the exchange rates of the New Taiwan Dollar (NTD) vis-à-vis seven Asian currencies. We show that exchange rate regime matters in determining whether PPP holds. While PPP holds overwhelmingly during the period when the NTD is under the fixed exchange rate regime, it is present only for some exchange rates during the managed floating rate regime. For exchange rates exhibiting mean reversion, the reversion occurs mainly when the shocks are large. In contrast to conclusion in the literature, our test results show little evidence of asymmetric mean reversion between positive and negative shocks.
Many studies have documented the “January Effect” across stock markets. In this paper, we investigate the existence of a January Effect in the Taiwanese market. We document a statistically significant January return, consistent with previous research.
We analyze how gender and age, internal characteristics of retail futures traders—one that remains fixed while the other changes over a lifetime—and the security being traded and bull–bear market conditions, two external factors, are related to the disposition effect by separately tracking their trade-by-trade transaction histories over a period of close to six years on the Taiwan Futures Exchange (TAIFEX). We show that women and mature traders, compared with their male and younger counterparts, exhibit a stronger disposition effect. The effect is also stronger among traders who trade financial-sector futures contracts than among those who trade electronic-sector futures contracts. We further demonstrate that a bear market sees a stronger disposition effect.
In this paper, we examine the share price effects and determinants of share repurchase programs for French, German, Italian, and British firms. Like US firms, we find that German and Italian share repurchases are met with a positive and significant share price response.
The "S&P game," a term coined by Beneish and Whaley (1996, 1997, 2002), represents the arbitrage that occurs in response to addition of stocks in the S&P 500 index.
We use a sample of intraday extreme stock price movements and assess the noise trading component of those movements.